The effect of seasonal adjustment on the properties of business cycle regimes
通过分析、模拟和实证方法，研究季节调整如何改变商业周期扩张和衰退的特征，发现X-11调整会降低转折点变化幅度和衰退深度，并延迟衰退结束的识别，但有助于明确已发生的真实状态。
Abstract We study the impact of seasonal adjustment on the properties of business cycle expansion and recession regimes using analytical, simulation and empirical methods. Analytically, we show that the X‐11 adjustment filter both reduces the magnitude of change at turning points and reduces the depth of recessions, with specific effects depending on the length of the recession. A Monte Carlo analysis using Markov‐switching models confirms these properties, with particularly undesirable effects in delaying the recognition of the end of a recession. However, seasonal adjustment can help to clarify the true regime when this is well underway. These results continue to hold when a seasonally non‐stationary process with regime‐dependent mean is misspecified as one with deterministic seasonal effects. The empirical findings, based on four coincident US business cycle indicators, reinforce the analytical and simulation results by showing that seasonal adjustment leads to the identification of longer and shallower recessions than obtained using unadjusted data. Copyright © 2008 John Wiley & Sons, Ltd.